[2008]Topic 23: Commodity Forwards and Futures相关习题 position, following, statements, long

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AIM 2: Derive of the basic equilibrium formula for pricing commodity forwards and futures.

 

1、All of the following statements describing the formulation of synthetic forward commodity are correct EXCEPT:

      I. A synthetic commodity forward price can be derived by combining a long position on a commodity forward, F0,T, and a long zero-coupon bond that pays F0,T at time T.

     II. The total cost at time 0 is equivalent to the cost of the bond, or e-rTF0,T.

    III. The payoff at time T is ST – F0,T + F0,T = ST.

 

A) I only.

B) II only.

C) III only.

D) All of the statements are correct.

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4、Which of the following is the main motivation behind using a strip hedge instead of using a stack hedge? A strip hedge is:

A) cheaper.

B) a more effective interest rate risk hedging strategy for multiple cash flows.

C) more suitable for a single large cash flow.

D) Able to hedge against both interest rate risk and volatility risk.

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 The correct answer is B

Baran

 

The correct answer is B

 

The oil refiner could enter into a strip hedge, by obtaining a long futures contract position for every month of the year for 50,000 barrels. Alternatively, the oil refiner could create a long position of a near-term futures contract for approximately 600,000 barrels.

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2、Which of the following statements regarding controlling risk with derivatives is FALSE?

A) In a strip hedge, the portfolio manager buys more of the nearest-term futures contract than the amount the manager is hedging.

B) To reduce the duration of a current portfolio to a target duration, a portfolio manager can sell T-bond futures contracts.

C) To calculate the dollar duration of a portfolio, the manager multiplies the effective duration times the basis point movement times the value of the position.

D) Credit spread risk refers to the risk that the difference between the yield on a risky asset and the yield on a risk-free asset increases.

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 The correct answer is A

In a stack hedge, the portfolio manager buys more of the nearest-term futures contract than the amount the manager is hedging.

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3、Which of the following is a difference between a strip and a stack hedge? A stack hedge uses:

A) out-of-the money put options.

B) a combination of long and short positions in different futures expirations.

C) futures contracts that are concentrated in a single futures expiration.

D) futures contracts on assets that are related to, but different, from the hedged asset.

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 The correct answer is C

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2、Which of the following results from a commodity that is an input in the production process of other commodities?

A) Implied lease rate. 

B) Commodity spread.

C) Implied forward rate.

D) Convenience yield.

Baran

 

 The correct answer is B

A commodity spread results from a commodity that is an input in the production process of other commodities.